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The number differences it will find is always zero, as it has nothing to compare against. And yes, documentation says to exit with status 0 if no differences or errors have been reported. But this does not make sense in most cases.

Is there a way to make pt-table-checksum not failing silently and reporting this as a general failure? Should I file a bug or is this configurable?

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pt-table-checksum runs on the master primarily, but as binary logging on MySQL is statement based, the actual calculation statements are being executed on the slave as well. One should then run pt-table-checksum on the slave to check and compare the checksums it can't access the slave from the master. Add the --replicate-check-only option to have it only check for differences based on the checksums already present in the checksums table.